Make sure, you have the servo centered then put the servo horn on the servo so that it is in the + orientation as shown. The screws should fit without a nut.
Next fit the ankle into the foot so that the holes align and add center and outer screws to fixate the servo / ankle to the foot part.
Repeat procedure with the left foot.
Center the calf servo as described above and add screws left and right (currently you may add a hole on the right to add the screw).
Screw the shin to the ankle like so.
Next, add the calf, be sure that the printed area is facing towards the shin (it's a design mistake, needs to be fixed) and the servo horn is facing the right “outward”.
Screw the knee to the shin, be sure that the holes for the calf's servo horn face in the same direction as the servo of the calf…
Next screw the calf to the knee like so. The shin is “outside” the ankle and knee, the calf is “inside” the ankle and knee. The leg should now look like this:
Repeat assembly for the other leg.